Data-driven structure-preserving model reduction for stochastic Hamiltonian systems

DOI10.3934/JCD.2024010arXiv2201.13391MaRDI QIDQ6152181FDOQ6152181

Authors: Tomasz M. Tyranowski 

Publication date: 11 March 2024

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Abstract: In this work we demonstrate that SVD-based model reduction techniques known for ordinary differential equations, such as the proper orthogonal decomposition, can be extended to stochastic differential equations in order to reduce the computational cost arising from both the high dimension of the considered stochastic system and the large number of independent Monte Carlo runs. We also extend the proper symplectic decomposition method to stochastic Hamiltonian systems, both with and without external forcing, and argue that preserving the underlying symplectic or variational structures results in more accurate and stable solutions that conserve energy better than when the non-geometric approach is used. We validate our proposed techniques with numerical experiments for a semi-discretization of the stochastic nonlinear Schr"odinger equation and the Kubo oscillator.

Full work available at URL: https://arxiv.org/abs/2201.13391

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zbMATH Keywords

stochastic differential equationsmodel reductionstochastic Hamiltonian systemsgeometric numerical integration methods

Mathematics Subject Classification ID

Numerical integration (65D30) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (1)

• Symplectic model reduction of Hamiltonian systems using data-driven quadratic manifolds

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